Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

VHITS: Vertical handoff initiation and target selection in a heterogeneous wireless network

Global connectivity, for anyone, at anyplace, at anytime, to provide high-speed, high-quality, and reliable communication channels for mobile devices, is now becoming a reality. The credit mainly goes to the recent technological advances in wireless communications comprised of a wide range of technologies, services, and applications to fulfill the particular needs of end-users in different deployment scenarios (Wi-Fi, WiMAX, and 3G/4G cellular systems). In such a heterogeneous wireless environment, one of the key ingredients to provide efficient ubiquitous computing with guaranteed quality and continuity of service is the design of intelligent handoff algorithms. Traditional single-metric handoff decision algorithms, such as Received Signal Strength (RSS) based, are not efficient and intelligent enough to minimize the number of unnecessary handoffs, decision delays, and call-dropping and/or blocking probabilities. This research presented a novel approach for the design and implementation of a multi-criteria vertical handoff algorithm for heterogeneous wireless networks. Several parallel Fuzzy Logic Controllers were utilized in combination with different types of ranking algorithms and metric weighting schemes to implement two major modules: the first module estimated the necessity of handoff, and the other module was developed to select the best network as the target of handoff. Simulations based on different traffic classes, utilizing various types of wireless networks were carried out by implementing a wireless test-bed inspired by the concept of Rudimentary Network Emulator (RUNE). Simulation results indicated that the proposed scheme provided better performance in terms of minimizing the unnecessary handoffs, call dropping, and call blocking and handoff blocking probabilities. When subjected to Conversational traffic and compared against the RSS-based reference algorithm, the proposed scheme, utilizing the FTOPSIS ranking algorithm, was able to reduce the average outage probability of MSs moving with high speeds by 17%, new call blocking probability by 22%, the handoff blocking probability by 16%, and the average handoff rate by 40%. The significant reduction in the resulted handoff rate provides MS with efficient power consumption, and more available battery life. These percentages indicated a higher probability of guaranteed session continuity and quality of the currently utilized service, resulting in higher user satisfaction levels.

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Vertical Handoff Target Selection in a Heterogeneous Wireless Network Using Fuzzy ELECTRE

Global connectivity is on the verge of becoming a reality to provide high-speed, high-quality, and reliable communication channels for mobile devices at anytime, anywhere in the world. In a heterogeneous wireless environment, one of the key ingredients to provide efficient and ubiquitous computing with guaranteed quality and continuity of service is the design of intelligent handoff algorithms. Traditional single-metric handoff decision algorithms, such as Received Signal Strength (RSS), are not efficient and intelligent enough to minimize the number of unnecessary handoffs, decision delays, call-dropping and blocking probabilities. This research presents a novel approach for of a Multi Attribute Decision Making (MADM) model based on an integrated fuzzy approach for target network selection.